指數型員工選擇權獎懲機制之探討

The Empirical Studies of Indexed Executive Stock Option with Penalty Function

慎思齊(Shen, Shih-Chi)；孫一凡(Sun, I-Fan)

員工選擇權 ； 指數型選擇權 ； 價格誘因效果 ； 總風險誘因效果 ； executive stock option (ESO) ； indexed stock option ； price incentive effect ； volatility incentive effect

嶺東學報

43期（2018 / 06 / 01）

119 - 132

繁體中文

指數型員工選擇權(ESO)相較於傳統型ESO具有較高價格誘因效果與較高總風險效果，驅使經理人提高股價與提高總風險。因此本文以Johnson and Tian在2000年提出的指數型ESO為基礎，設計新獎懲函數來保有ESO較高的價格誘因效果，並減緩總風險誘因效果的傷害。新獎懲函數在多頭時會提高獎懲標準，可維持較高的價格誘因效果與降低較高的總風險誘因效果，換句話說它可保持較高的delta且使較高的vega降低了。基於此原因它可降低股東與經理人之間的代理成本。

Indexed executive stock option (ESO) includes both higher price incentive effect and higher volatility incentive effect than the traditional ESO, which will drive managers to enhance the price of stock and the volatility of stock. Therefore, the researcher of this paper designed a new penalty function based on the indexed ESO proposed by Johnson and Tian in 2000 for the sake of protecting higher price incentive effect from being damaged by higher volatility incentive effect of ESO. The new penalty function will increase the level of penalty when in bullish market, which will keep price incentive effect that is high and will decrease high volatility incentive effect. In other words, it do not change higher delta whereas make high vega become lower. For this reason, it would reduce agency cost between the stock holder and the manager.

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